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Second one of this flavor today...

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

Looking to the Skew Tab (<a href="http://livevol.blogspot.com/2010/11/esi.html">in the article</a>), we can see the elevated vol in the front month (red line) relative to the second month (yellow line).

Note the vol difference between the front two months. I've highlighted a strangle, but the entire term structure is clearly priced with front &gt; back.

Now we can turn to the Charts Tab (<a href="http://livevol.blogspot.com/2010/11/esi.html">in the article</a>). The top portion is the stock price, the bottom is the vol (IV30â¢ - red vs HV20â¢ - blue vs HV180â¢ - pink).